The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

We study the distributions of [1] the first time that the surplus reaches a given level and [2] the duration of negative surplus in a Sparre Andersen risk process with the inter-claim times being Erlang(2) distributed. These distributions can be obtained through the inversion of Laplace transforms using the inversion relationship for the Erlang(2) risk model given by Dickson and Li (2010).

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Year of publication:	2013
Authors:	Dickson, David C.M. ; Li, Shuanming
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 52.2013, 3, p. 490-497
Publisher:	Elsevier
Subject:	Sparre Andersen risk model \| Erlang(2) inter-claim times \| Generalised Lundberg equation \| Duration of negative surplus \| First hitting time \| Laplace transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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